1. Export all posts (export all items) from each old blog.
2. At new blog, create a user account for each user from old site. If the exact user exists on import (trick - user id) they will not need to be re-assigned/assigned.
3. Import each old blog's export file. (see 4 first)
4. Before importing those 3 files, search and replace url's (to now be new blog url)
5. You may have issues with Media Files - depends how they were included on old blogs...If you know MySQL well, you can work with the Media Tables...
what potential problems/workarounds should I be looking at with WP running under Windows
You can run WP under IIS7, just make sure to use a proper web.config file (not .htaccess) - note some plugins/themes may not run well on a Windows Servers - these are typically caching plugins or advanced plugins looking for Apache modules...
That all said - if you prefer the 3 blog options/ your main domain can simply be a landing page with links to the blogs, then for each sub-domain:
For each blog:
1. Download all site files and grab a full db backup of old blog.
2. Upload all files to sub-folder, import database, create wp-config.php and web.config.
3. You will need to do a search and replace of MySQL db if old links.
4. Make sure all media files are in same folder structure - Media Files (links) should be OK.
5. Depending on server, your web.config may need to be at root and contain rules for sub-folders or use a web.config for each sub.
If you use the same theme/plugins on each you can create the 3 sub-folders very easily - the starting contents will be identical except wp-config.php and web.config.
If just 3 blogs, just create the 3 - using network/multisite can get complex.
last note: if you have same post/page/category/tags at old blogs your permalinks may end up with a -2 or -3 at end. Look for and fix these or review all at old blogs and make unique prior to export.